Minimum track record length
validate_track_recordCalculate the minimum track record length for an observed Sharpe ratio to beat a benchmark at a set confidence level, and the probabilistic Sharpe for the current observations.
Instructions
Minimum track record length, in observations and years, for an observed Sharpe to beat a benchmark at a confidence level, and with observations, the record's probabilistic Sharpe so far. A deflated Sharpe or overfitting probability above or below any threshold is not admission to anything and is not a forecast.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| skew | Yes | Skewness of the returns; below -0.5 the reading warns that the counts are too generous. | |
| confidence | No | Between 0 and 1; default 0.95. | |
| observations | No | Record length so far, to get its probabilistic Sharpe. | |
| periods_per_year | Yes | Observations per year: 252 daily, 365 daily crypto, 52 weekly, 12 monthly. | |
| non_excess_kurtosis | Yes | Kurtosis, not excess kurtosis; 3 if Normal. | |
| observed_sharpe_annualized | Yes | Annualized Sharpe as observed. | |
| benchmark_sharpe_annualized | No | Annualized Sharpe to beat; default 0. |